[ A L G O R I T H M I C T R A D I N G S U R V E Y ]
BMO CAPITAL MARKETS RATINGS FOR ALGORITHMIC PERFORMANCE Overall Outperformer: Category Outperformer: X13
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
6.47 6.47 6.30 6.66 6.30 6.30 5.86 6.10 6.47
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
6.30 6.29 5.87 6.30 6.30 6.30 6.29
INSTINET RATINGS FOR ALGORITHMIC PERFORMANCE Category Outperformer: X4
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
6.05 5.89 5.91 5.85 6.23 5.72 5.83 5.54 5.92
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
6.07 6.45 5.83 5.83 5.89 6.07 5.94
LIQUIDNET RATINGS FOR ALGORITHMIC PERFORMANCE Overall Outperformer: Category Outperformer: X15
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
6.56 6.52 6.59 6.27 6.21 6.31 6.04 5.95 6.45
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
6.14 6.55 6.02 6.40 6.02 6.57 6.31
RBC CAPITAL MARKETS RATINGS FOR ALGORITHMIC PERFORMANCE Category Outperformer: X2
Increase trader productivity |
Reduce market impact |
Execution consistency |
Cost Speed Anonymity |
Price improvement |
Customisation |
Ease of use |
5.44 5.88 5.52 6.40 6.04 6.29 5.00 5.20 5.66
Order routing logic / analysis |
Customer support |
Execution consulting |
Dark pool access |
Flexibility / sophistication of SOR |
Algo monitoring |
Average score |
5.40 5.84 5.40 5.09 5.48 5.40 5.60
Methodology Buy-side survey respondents were asked to give a rating for each algorithm provider on a numerical scale from 1.0( very weak) through to 7.0( excellent), covering 15 functional criteria. In general, 5.0( good) is the‘ default’ score of respondents. In total, 1,987 provider ratings were received from 518 individual respondents across 34 algo providers, yielding thousands of data points for analysis. Only the evaluations from clients who indicated that they were engaged in managing hedge funds or using hedge fund strategies have been used to compile the provider profiles and overall market review information. Each evaluation was weighted according to three characteristics of each respondent: the value of assets under management; the proportion of business done using algorithms; and the number of different providers being used. In this way the evaluations of the largest and broadest users of algorithms were weighted at up to three times the weight of the smallest and least experienced respondent. Finally, it should be noted that some responses provided by affiliated entities were ignored. A few other responses where the respondent could not be properly verified were also excluded. We hope that readers find this approach both informative and useful as they assess different capabilities in the future.
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